scholarly journals Testing the martingales property of daily exchange rate

2016 ◽  
Vol 4 (2) ◽  
Author(s):  
Rozana Liko ◽  
Artion Kashuri ◽  
Miftar Ramosaco
Keyword(s):  
Exchange Rate ◽  
Unit Root ◽  
Weak Form ◽  
Unit Root Tests ◽  
Ratio Test ◽  
Exchange Market ◽  
Martingale Property ◽  
Statistical Behavior

The purpose of this paper is to test whether the Albanian exchange rate market is weak form efficient by studying the statistical behavior of daily Euro and USD exchange rate against Albanian Lekё, which are the most influential currency in Albania market, during the period January 05, 2010 – April 30, 2015. The study seeks to examine whether this currencies follow each a martingale. The unit root tests (individually and panel) and variation ratio test are used. The various analytical tests implemented in the study provide evidence of non-martingale property of exchange market in Albania.

Testing Random Walk Hypothesis in Turkish Foreign Exchange Market

2015 ◽  
pp. 51-63
Author(s):  
Levent Çıtak ◽  
Veli Akel ◽  
Murat Çetin
Keyword(s):  
Exchange Rate ◽  
Random Walk ◽  
Foreign Exchange ◽  
Foreign Exchange Market ◽  
Weak Form ◽  
Efficient Market Hypothesis ◽  
Ratio Test ◽  
Exchange Market ◽  
Developed Economies ◽  
Random Walk Hypothesis

This chapter revisits the empirical validity of the weak-form efficient market hypothesis for Turkish foreign exchange markets. The random-walk hypothesis in foreign-exchange rates market is one of the most researched areas, particularly in developed economies. This chapter applies ADF and PP unit root test, Lo and MacKinlay's (1988) conventional variance ratio test and Ljung-Box Q tests to examine the validity of the random-walk hypothesis in the Turkish foreign-exchange market. The chapter utilizes weekly nominal TRY/USD exchange rate for data from January 2000 to December 2013. The results provide evidence rejecting the random walk hypothesis for weekly nominal exchange rate series.

scholarly journals Efficiency of the Black Foreign Exchange Market

2019 ◽  
Vol 11 (2) ◽  
pp. 165
Author(s):  
Ali Farhan Chaudhry ◽  
Mian Muhammd Hanif ◽  
Sameera Hassan ◽  
Muhammad Irfan Chani
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Foreign Exchange ◽  
Foreign Exchange Market ◽  
Weak Form ◽  
Exchange Rate Policy ◽  
Foreign Exchange Rate ◽  
Ratio Test ◽  
Exchange Market ◽  
Policy Makers

This empirical study is first of its nature to examine the weak-form of efficiency for unofficial foreign exchange market of Pakistan proxied by Japanese Yen (JPY/PKR), Swiss Franc (CHF/PKR), British Pound (GBP/PKR), and US Dollar (USD/PKR) exchange rates. For this we have employed Ljung Box Q-test, unit root tests including Dickey-Fuller (Dickey 1979), Augmented Dickey-Fuller (Dickey 1981) tests and Phillips and Perron (1988) test, Durbin Watson test, Runs-test, and Variance ratio test by using unofficial foreign exchange rate time series of Yen/PKR, CHF/PKR, GBP/PKR and USD/PKR from 1994M07 to 2001M06. Empirical results lead to the conclusion that the unofficial foreign exchange market of Pakistan is weak-form efficiency. The implications of this empirical research are of great importance for designing foreign exchange policy i.e. policy makers (be it accounting, export/import or public policy makers) are to consider fluctuations in unofficial foreign exchange rates while designing official foreign exchange rate policy of developing country like Pakistan. Further, policymakers can enhance the efficiency of official foreign exchange market by intervention subject to a widening of unofficial foreign exchange premium beyond a certain limit in developing countries like Pakistan.

scholarly journals Weak Form Market Efficiency of the Johannesburg Stock Exchange: Pre, During and Post the 2008 Global Financial Crisis

2017 ◽  
Vol 9 (5) ◽  
pp. 29 ◽  
Author(s):  
Olwetu Fusthane ◽  
Kapingura F M
Keyword(s):  
Stock Market ◽  
Unit Root ◽  
Global Financial Crisis ◽  
Stock Exchange ◽  
Critical Role ◽  
Weak Form ◽  
Unit Root Tests ◽  
Ratio Test ◽  
Variance Ratio ◽  
Johannesburg Stock Exchange

The importance of the efficiency of the stock market cannot be underestimated, given the critical role the stock market plays through brings together those who demand and supply development finance. It is against this background that this study focused on analysing the weak form efficiency of the Johannesburg Stock Exchange for the period 2005 to 2016 utilising several methodologies which include unit root tests, autocorrelation test and variance ratio. The empirical results from unit root tests indicated that the null hypothesis of a random walk could not be rejected. The same also applied to the autocorrelation test and variance ratio test except for a few instances. Thus irrespective of the few instances which represent the inefficiency of the market, to a greater extent there is evidence of the market being weak form efficient. Thus even though the work done towards ensuring that the market is efficient is commendable, there is need to ensure that further steps are taken to enhance the efficiency of the market. This is, to some extent suggest that investors are able to make abnormal profits from the market.   

scholarly journals Foreign Exchange Market Efficiency In Botswana

2017 ◽  
Vol 10 (1) ◽  
pp. 103-125 ◽  
Author(s):  
Gofaone Matebejana ◽  
Gaotlhobogwe Motlaleng ◽  
James Juana
Keyword(s):  
Random Walk ◽  
Exchange Rates ◽  
Foreign Exchange ◽  
Unit Root ◽  
Foreign Exchange Market ◽  
Weak Form ◽  
Strong Form ◽  
Unit Root Tests ◽  
Exchange Market ◽  
Weak Form Efficiency

Abstract The random walk behaviour of exchange rates in Botswana’s foreign exchange market is explored by employing unit root tests. The unit root tests employed include the ADF, PP and the KPSS. This paper uses monthly data for the period 2000:01 to 2015:12. The conclusive evidence based on the unit roots tests indicates that the behaviour of the Pula against the South African Rand, Japanese Yen and the American Dollar exchange rates is consistent with the random walk process and the weak form efficiency market hypothesis. However, the Pula against the British Pound is inconsistent with the weak form efficiency market hypothesis. These results compliment those from Namibia (Mabakeng and Sheefeni, 2014). Furthermore, there is no evidence of the semi-strong form level of efficiency as revealed by the cointegration results obtained. These results corroborates with those found by Wickremasinghe (2008) and Çiçek (2014) in which weak form was found to exist whilst the semi-strong form was found not to exist. This paper has filled an important gap as it is the first study to investigate the efficiency of the foreign exchange market in Botswana.

Testing Random Walk Hypothesis in Turkish Foreign Exchange Market

2016 ◽  
pp. 969-982
Author(s):  
Levent Çıtak ◽  
Veli Akel ◽  
Murat Çetin
Keyword(s):  
Exchange Rate ◽  
Random Walk ◽  
Foreign Exchange ◽  
Foreign Exchange Market ◽  
Weak Form ◽  
Efficient Market Hypothesis ◽  
Ratio Test ◽  
Exchange Market ◽  
Developed Economies ◽  
Random Walk Hypothesis

This chapter revisits the empirical validity of the weak-form efficient market hypothesis for Turkish foreign exchange markets. The random-walk hypothesis in foreign-exchange rates market is one of the most researched areas, particularly in developed economies. This chapter applies ADF and PP unit root test, Lo and MacKinlay's (1988) conventional variance ratio test and Ljung-Box Q tests to examine the validity of the random-walk hypothesis in the Turkish foreign-exchange market. The chapter utilizes weekly nominal TRY/USD exchange rate for data from January 2000 to December 2013. The results provide evidence rejecting the random walk hypothesis for weekly nominal exchange rate series.

scholarly journals Weak Form Market Efficiency of the Johannesburg Stock Exchange: Pre, During and Post the 2008 Global Financial Crisis

2017 ◽  
Vol 9 (5(J)) ◽  
pp. 29-42
Author(s):  
Olwetu Fusthane ◽  
Kapingura F M
Keyword(s):  
Stock Market ◽  
Unit Root ◽  
Global Financial Crisis ◽  
Stock Exchange ◽  
Critical Role ◽  
Weak Form ◽  
Unit Root Tests ◽  
Ratio Test ◽  
Variance Ratio ◽  
Johannesburg Stock Exchange

The importance of the efficiency of the stock market cannot be underestimated, given the critical role the stock market plays through brings together those who demand and supply development finance. It is against this background that this study focused on analysing the weak form efficiency of the Johannesburg Stock Exchange for the period 2005 to 2016 utilising several methodologies which include unit root tests, autocorrelation test and variance ratio. The empirical results from unit root tests indicated that the null hypothesis of a random walk could not be rejected. The same also applied to the autocorrelation test and variance ratio test except for a few instances. Thus irrespective of the few instances which represent the inefficiency of the market, to a greater extent there is evidence of the market being weak form efficient. Thus even though the work done towards ensuring that the market is efficient is commendable, there is need to ensure that further steps are taken to enhance the efficiency of the market. This is, to some extent suggest that investors are able to make abnormal profits from the market.   

scholarly journals Validity of EMH; A Case Study of KSE-100 Index

2018 ◽  
Vol 1 (1) ◽  
pp. 112 ◽  
Author(s):  
Salma Naz ◽  
Seema Razaque ◽  
Hyder Ali Khuwaja ◽  
Niaz Ahmed Bhutto
Keyword(s):  
Time Series ◽  
Unit Root ◽  
Financial Crises ◽  
Weak Form ◽  
Return Time ◽  
Unit Root Tests ◽  
Stock Index ◽  
Random Walk Hypothesis ◽  
Q Statistic

The emerging markets offer major investments opportunities for a range of investors over the last decades especially after the global financial crises,which attracted the attention of investors and financial researchers towards the market efficiency.This research paper is designed to verify other researchers work, because some of them have provided contradictory results to test the market efficiency of Pakistani stock index (KSE-100). Average daily observations are considered for the period of twenty two years (November 02, 1991 to December 31, 2012). Unit Root tests (ADF, PP and KPSS), Runs test, Serial Autocorrelation (L-Jung-Box Q statistic) techniques are used to analyze the market’s informational weak form efficiency. Return time series is not normally distributed because it is negatively skewed and leptokurtic. All of the tests applied provide sufficient statistical evidence to reject the Random Walk Hypothesis thus KSE-100 shares index is informational weak form inefficient.

scholarly journals The market efficiency of the Tanzania stock market

2016 ◽  
Vol 11 (3) ◽  
pp. 75-86 ◽  
Author(s):  
Josephine Njuguna
Keyword(s):  
Stock Market ◽  
Market Efficiency ◽  
Unit Root ◽  
Stock Exchange ◽  
Unit Root Test ◽  
Weak Form ◽  
Ratio Test ◽  
Variance Ratio ◽  
Test Unit ◽  
Variance Ratio Test

The purpose of this article is to examine the efficiency of the Tanzania stock market. The study attempts to answer whether the Tanzania stock market is weak-form efficient. The study applies a battery of tests: the serial correlation test, unit root tests, runs test and the variance ratio test using daily and weekly data with a sample spanning from November 2006 to August 2015 for the Dar es Salaam Stock Exchange (DSE) all share index and from January 2009 to August 2015 for the DSE share index. Overall, the results of the market efficiency are mixed. The serial correlation test, unit root test and the runs test do not support weak-form efficiency, while the more robust variance ratio test supports weak-form efficiency for the DSE. The main contribution of the study is that the market efficiency of the Tanzania stock market has increased over the sample period. Keywords: adaptive market hypothesis, efficiency market hypothesis, serial correlations test, unit root test, runs test, variance ratio test, Dar es Salaam Stock Exchange. JEL Classification: G14, G15

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